Waiting time distributions in financial markets

By Lorenzo Sabatelli, S. Keating, J. Dudley, Peter Richmond. 2002

199 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Signal Processing

View Paper: https://www.semanticscholar.org/paper/237fcbb9640e9b822b2a0c88457d2d88a72cf857

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In Signal Processing

Citations in the corpus

VECTOR GRÜNWALD FORMULA FOR FRACTIONAL DERIVATIVES (2004, background): “Introduction Fractional derivatives have been around for centuries [22, 26] but recently they have found new applications in physics [2, 6, 7, 9, 15, 18, 19, 29], hydrology [1, 4, 5, 10, 14, 28], and finance [24, 25, 27].”
Adaptive finite element method for fractional differential equations using hierarchical matrices (2016, background): “Numerical methods for differential equations involving fractional derivatives either in time or space have been studied widely since they have various new scientific applications [29, 31, 34, 35, 5, 32, 28].”
Gegenbauer spectral method for time‐fractional convection–diffusion equations with variable coefficients (2015, background): “They have been used in modeling turbulent flow [5, 6], chaotic dynamics of classical conservation systems [7], and even finance [8, 9] (see [1] for more information).”
Fractional vector calculus for fractional advection–dispersion (2006, background): “Fractional derivatives have recently been applied to many problems in physics [5–18], finance [15,19–22], and hydrology [23–28].”
A second-order accurate numerical method for the two-dimensional fractional diffusion equation (2007, methodology): “Fractional diffusion equations are used to model problems in physics (see a comprehensive review by Metzler and Klafter [25]), finance [10,16,28,31,30], and hydrology [2,4,5,32,33].”
Finite di$erence approximations for fractional advection-dispersion &ow equations (2004, methodology): “In this paper we develop practical numerical methods to solve one dimensional fractional advection–dispersion equations with variable coe4cients on a 5nite domain.”
Triangular array limits for continuous time random walks (2008, background): “Continuous time random walks and the associated fractional diffusion equations are useful in physics [42,43], finance [23,33,41,47,48,52], and hydrology [10,12,55].”
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant (2010, background): “Both detrended fluctuation analysis (DFA) and detrending moving average analysis (DMA) show that the 1-min intertrade duration time series of the two equities are strongly correlated.”
Coupled continuous time random walks in finance (2006, methodology): “In Econophysics, the CTRW model has been used to describe the movement of log-prices [7,9,18, 19 ,20].”